Matrix-based numerical modelling of financial differential equations
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Publication:2655890
DOI10.1504/IJMMNO.2009.030089zbMATH Open1183.91186MaRDI QIDQ2655890FDOQ2655890
Publication date: 26 January 2010
Published in: International Journal of Mathematical Modelling and Numerical Optimisation (Search for Journal in Brave)
option pricingfinite differenceRunge-KuttaAmerican optionsmethod of linesdifferentiation matrixChebyshev spectral collocationoptimal shutdown
Cited In (8)
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- Parameter estimation and inference in dynamic systems described by linear partial differential equations
- Financial Applications of Symbolically Generated Compact Finite Difference Formulae
- Capillary processes increase salt precipitation during CO2 injection in saline formations
- NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES
- A simple equation solver and its application to financial modelling
- A pseudospectral approach to the McWhorter and Sunada equation for two-phase flow in porous media with capillary pressure
- From arteries to boreholes: transient response of a poroelastic cylinder to fluid injection
Uses Software
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